Arbeitspapier
Are the Nordic Stock Markets Mean Reverting?
In this paper we test for mean reversion in the Nordic stock markets using monthly nominal data 1947-1998. By simply account for the heteroscedasticity of the data with a regime-switching model of normal distributions and taking estimation bias into account via a Bayesian approach we can find no support of mean reversion. This is a contradiction to some previous result from Denmark and Sweden. Our findings suggest that mixtures of two regimes can characterize the each stock market and within the regimes the stock market is random. This finding of randomness is in line with recent evidence in literature.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2001:15
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Statistical Simulation Methods: General
General Financial Markets: General (includes Measurement and Data)
- Thema
-
market efficiency
variance ratio
Gibbs sampling
hidden Markov chains
MCMC
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Graflund, Andreas
- Ereignis
-
Veröffentlichung
- (wer)
-
Lund University, School of Economics and Management, Department of Economics
- (wo)
-
Lund
- (wann)
-
2001
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Graflund, Andreas
- Lund University, School of Economics and Management, Department of Economics
Entstanden
- 2001
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